Windows

In Windows, if you have installed Ethereum Wallet, you can find a directory "binaries" inside the Wallet directory, containing Geth, but it's not so comfortable to use it, so we suggest to download the last version of GETH.EXE

After downloading it, install/extract the software, then go to the command prompt, navigate to GETH directory using CD command (for example I've installed it on "C:\Program Files\Geth" so the command will be CD "C:\Program Files\Geth")
and try the following:

cd "C:\Program Files\Geth"
geth version

If everything is ok, you should receive some infos about system and version as output